Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Kia is set to make a comeback, while the exclusion of Posco Future M is on the horizon.</li>
<li>The screening date is set for November 30th, and the effective date is December 18th, which means the ETF rebalancing will take place on December 15th.</li>
<li>The exposure period to the market is relatively short, so it's essential to acknowledge the limited accumulation of learning effects. This suggests we can anticipate a notably substantial price impact.</li>
</ul>


Kia is set to make a comeback, while the exclusion of Posco Future M is on the horizon.
The screening date is set for November 30th, and the effective date is December 18th, which means the ETF rebalancing will take place on December 15th.
The exposure period to the market is relatively short, so it's essential to acknowledge the limited accumulation of learning effects. This suggests we can anticipate a notably substantial price impact.


A Noteworthy ETF Flow Trading Opportunity Targeting the Pair Comprising Kia & Posco Future M

Global Emerging Market Equities, Propitious Research

Wium Malan, CFA

Global Emerging Market Equities

Independent, Fundamental Quantitative Research

Propitious Research

Fully independent, fundamental and quantitative equity research, focused on companies in the Telecommunication, Media, Technology, Internet and Healthcare sectors in the Global Emerging Markets. Idea generation focused on Quality stocks, trading below their intrinsic Value, with sound Corporate Governance.

Quantitative Analysis

<ul>
<li>An overview (and output) of our machine learning-driven GEM screening model, which seeks to find the best medium-term long ideas within the top 100 stocks in the MSCI GEM Index.</li>
<li>The model is based on 1) a quantitative multifactor screening model, enhanced by two AI Technology-based approaches; 2) a Deep Neural Network model, and 3) a Recurrent Neural Network model.</li>
<li>Developed over roughly 4 years and implemented in its current state for over 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.</li>
</ul>


An overview (and output) of our machine learning-driven GEM screening model, which seeks to find the best medium-term long ideas within the top 100 stocks in the MSCI GEM Index.
The model is based on 1) a quantitative multifactor screening model, enhanced by two AI Technology-based approaches; 2) a Deep Neural Network model, and 3) a Recurrent Neural Network model.
Developed over roughly 4 years and implemented in its current state for over 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.


Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>On 27 September, Maeil Business Daily reported that SK Square signed an MOU with Qoo10 to pursue a joint management of 11st. </li>
<li>It appears that Alibaba may have been reviewing this deal but it is no longer interested in pursuing 11st.</li>
<li>A deal between Qoo10 and 11st could occur, but this is not certain, which means some of the cash proceeds to FI would need to be burdened by SK Square.</li>
</ul>


On 27 September, Maeil Business Daily reported that SK Square signed an MOU with Qoo10 to pursue a joint management of 11st. 
It appears that Alibaba may have been reviewing this deal but it is no longer interested in pursuing 11st.
A deal between Qoo10 and 11st could occur, but this is not certain, which means some of the cash proceeds to FI would need to be burdened by SK Square.


SK Square: M&A of 11st - Alibaba Out and Qoo10 In?

<ul>
<li>Maeil Business Daily reported that Alibaba Group Holding (9988 HK) is considering on acquiring a controlling stake in 11st, which is a leading e-commerce platform owned by SK Square</li>
<li>In 2018, 11st was valued at 2.7 trillion won by financial investors. However, the current valuation of 11st is estimated to have declined to about 1 trillion won (US$760 million).</li>
<li>We estimate that the probability of Alibaba acquiring 11st is about 60-70%. </li>
</ul>


Maeil Business Daily reported that Alibaba Group Holding (9988 HK) is considering on acquiring a controlling stake in 11st, which is a leading e-commerce platform owned by SK Square
In 2018, 11st was valued at 2.7 trillion won by financial investors. However, the current valuation of 11st is estimated to have declined to about 1 trillion won (US$760 million).
We estimate that the probability of Alibaba acquiring 11st is about 60-70%. 


Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

SK Biopharmaceuticals   / Index Rebalance

<ul>
<li>The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.</li>
<li>There is one change currently for each of the Secondary Battery, Bio and Game indices. Then there are a couple of changes for the Internet and BBIG indices.</li>
<li>There are four stocks that will have over 2 days of ADV to trade from passive trackers and these stocks could move around announcement of the changes.</li>
</ul>


The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.
There is one change currently for each of the Secondary Battery, Bio and Game indices. Then there are a couple of changes for the Internet and BBIG indices.
There are four stocks that will have over 2 days of ADV to trade from passive trackers and these stocks could move around announcement of the changes.


KRX New Deal Index Rebalance Preview: Review Period Nearly Complete

South Korea

Naver Corp. provides Internet site with web portal services, such as search engine, online game and content development.  The Company also offers marketing service through text and banner advertisement.

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Naver Corp (035420 KS)

A Noteworthy ETF Flow Trading Opportunity Targeting the Pair Comprising Kia & Posco Future M

This post delves into an ETF flow trading opportunity centered around the Kia and Posco Future M pair during the December rebalancing of the KODEX...

Sanghyun Park

Screening for GEMs: October 2023

This insight provides an overview of our, machine learning-driven, proprietary GEM screening model, based on a Multifactor model, a Deep Neural...

Wium Malan, CFA

SK Square: M&A of 11st - Alibaba Out and Qoo10 In?

On 27 September, Maeil Business Daily reported that SK Square signed an MOU with Qoo10 to pursue a joint management of 11st.

Douglas Kim

SK Square: Will Alibaba Acquire 11st?

Maeil Business Daily reported that Alibaba Group Holding (9988 HK) is considering on acquiring a controlling stake in 11st, which is a leading e...

Douglas Kim

KRX New Deal Index Rebalance Preview: Review Period Nearly Complete

The changes to the index were announced post market close on Friday and will be implemented at the close on Thursday. Given that the changes are...

Brian Freitas

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